Question
An insurance company has 3 lines of business The first one is completely independent. The 2 others are perfectly correlated. The 3 risks are normally
An insurance company has 3 lines of business
The first one is completely independent.
The 2 others are perfectly correlated.
The 3 risks are normally distributed with following parameters
Risk 1 : mean : 1000 standard deviation : 100
Risk 2 : mean : 2000 standard deviation : 50
Risk 3 : mean : 500 standard deviation : 75
Solvency requirement are computed following the VaR approach with a safety of 99%.
Compute for each risk and for the whole portfolio the solvency capital and the diversification effect.
answer
sum of capital : 524,25
global capital : 372,8
DP : 151,45
how to calculate
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Options Trading For Beginners
Authors: Mike Hartley
1st Edition
979-8864514832
